def test_trader_detects_none_unique_identifiers(self):
# Arrange
strategies = [EmptyStrategy("000"), EmptyStrategy("000")]
# Act
self.assertRaises(ValueError, self.trader.initialize_strategies,
strategies)
def setUp(self):
# Fixture Setup
usdjpy = TestStubs.instrument_usdjpy()
data = BacktestDataContainer()
data.add_instrument(usdjpy)
data.add_bars(usdjpy.symbol, BarStructure.MINUTE, PriceType.BID,
TestDataProvider.usdjpy_1min_bid()[:2000])
data.add_bars(usdjpy.symbol, BarStructure.MINUTE, PriceType.ASK,
TestDataProvider.usdjpy_1min_ask()[:2000])
clock = TestClock()
guid_factory = TestGuidFactory()
logger = TestLogger()
trader_id = TraderId('TESTER', '000')
account_id = TestStubs.account_id()
data_client = BacktestDataClient(data=data,
tick_capacity=100,
clock=clock,
logger=logger)
self.portfolio = Portfolio(currency=Currency.USD,
clock=clock,
guid_factory=guid_factory,
logger=logger)
self.analyzer = PerformanceAnalyzer()
self.exec_db = InMemoryExecutionDatabase(trader_id=trader_id,
logger=logger)
self.exec_engine = ExecutionEngine(trader_id=trader_id,
account_id=account_id,
database=self.exec_db,
portfolio=self.portfolio,
clock=clock,
guid_factory=guid_factory,
logger=logger)
self.exec_client = BacktestExecClient(
exec_engine=self.exec_engine,
instruments={usdjpy.symbol: usdjpy},
config=BacktestConfig(),
fill_model=FillModel(),
clock=clock,
guid_factory=guid_factory,
logger=logger)
self.exec_engine.register_client(self.exec_client)
strategies = [EmptyStrategy('001'), EmptyStrategy('002')]
self.trader = Trader(trader_id=trader_id,
account_id=account_id,
strategies=strategies,
data_client=data_client,
exec_engine=self.exec_engine,
clock=clock,
guid_factory=guid_factory,
logger=logger)
def test_change_strategies(self):
# Arrange
strategies = [EmptyStrategy("003"), EmptyStrategy("004")]
# Act
self.trader.initialize_strategies(strategies)
# Assert
self.assertTrue(strategies[0].id in self.trader.strategy_states())
self.assertTrue(strategies[1].id in self.trader.strategy_states())
self.assertEqual(2, len(self.trader.strategy_states()))
def test_run_with_empty_strategy(self):
# Arrange
usdjpy = TestStubs.instrument_usdjpy()
data = BacktestDataContainer()
data.add_instrument(usdjpy)
data.add_bars(usdjpy.symbol, BarStructure.MINUTE, PriceType.BID, TestDataProvider.usdjpy_1min_bid())
data.add_bars(usdjpy.symbol, BarStructure.MINUTE, PriceType.ASK, TestDataProvider.usdjpy_1min_ask())
strategies = [EmptyStrategy('001')]
config = BacktestConfig(exec_db_type='in-memory')
engine = BacktestEngine(
data=data,
strategies=strategies,
fill_model=FillModel(),
config=config)
start = datetime(2013, 1, 1, 22, 0, 0, 0, tzinfo=timezone.utc)
stop = datetime(2013, 8, 10, 0, 0, 0, 0, tzinfo=timezone.utc)
stats_file = 'perf_stats_backtest_run_empty.prof'
cProfile.runctx('engine.run(start, stop)', globals(), locals(), stats_file)
s = pstats.Stats(stats_file)
s.strip_dirs().sort_stats("time").print_stats()
self.assertTrue(True)
def setUp(self):
self.usdjpy = InstrumentLoader.default_fx_ccy(
TestStubs.symbol_usdjpy_fxcm())
data = BacktestDataContainer()
data.add_instrument(self.usdjpy)
data.add_bars(self.usdjpy.symbol, BarAggregation.MINUTE, PriceType.BID,
TestDataProvider.usdjpy_1min_bid()[:2000])
data.add_bars(self.usdjpy.symbol, BarAggregation.MINUTE, PriceType.ASK,
TestDataProvider.usdjpy_1min_ask()[:2000])
config = BacktestConfig(
tick_capacity=1000,
bar_capacity=1000,
exec_db_type='in-memory',
exec_db_flush=False,
frozen_account=False,
starting_capital=1000000,
account_currency=USD,
short_term_interest_csv_path='default',
bypass_logging=False,
level_console=LogLevel.DEBUG,
level_file=LogLevel.DEBUG,
level_store=LogLevel.WARNING,
log_thread=False,
log_to_file=False,
)
self.engine = BacktestEngine(
data=data,
strategies=[EmptyStrategy('000')],
venue=Venue("FXCM"),
oms_type=OMSType.HEDGING,
generate_position_ids=True,
config=config,
)
def setUp(self):
self.usdjpy = TestStubs.instrument_usdjpy()
data = BacktestDataContainer()
data.add_instrument(self.usdjpy)
data.add_bars(self.usdjpy.symbol, BarStructure.MINUTE, PriceType.BID,
TestDataProvider.usdjpy_1min_bid()[:2000])
data.add_bars(self.usdjpy.symbol, BarStructure.MINUTE, PriceType.ASK,
TestDataProvider.usdjpy_1min_ask()[:2000])
config = BacktestConfig(exec_db_type='in-memory',
exec_db_flush=False,
frozen_account=False,
starting_capital=1000000,
account_currency=Currency.USD,
short_term_interest_csv_path='default',
commission_rate_bp=0.20,
bypass_logging=True,
level_console=LogLevel.DEBUG,
level_file=LogLevel.DEBUG,
level_store=LogLevel.WARNING,
log_thread=False,
log_to_file=False)
self.engine = BacktestEngine(data=data,
strategies=[EmptyStrategy('000')],
config=config)
def test_run_with_empty_strategy(self):
# Arrange
usdjpy = InstrumentLoader.default_fx_ccy(TestStubs.symbol_usdjpy_fxcm())
data = BacktestDataContainer()
data.add_instrument(usdjpy)
data.add_bars(usdjpy.symbol, BarAggregation.MINUTE, PriceType.BID, TestDataProvider.usdjpy_1min_bid())
data.add_bars(usdjpy.symbol, BarAggregation.MINUTE, PriceType.ASK, TestDataProvider.usdjpy_1min_ask())
strategies = [EmptyStrategy("001")]
config = BacktestConfig(exec_db_type="in-memory")
engine = BacktestEngine(
data=data,
strategies=strategies,
venue=Venue("FXCM"),
oms_type=OMSType.HEDGING,
generate_position_ids=True,
fill_model=FillModel(),
config=config,
)
start = datetime(2013, 1, 1, 22, 0, 0, 0, tzinfo=pytz.utc)
stop = datetime(2013, 8, 10, 0, 0, 0, 0, tzinfo=pytz.utc)
stats_file = "perf_stats_backtest_run_empty.prof"
cProfile.runctx("engine.run(start, stop)", globals(), locals(), stats_file)
s = pstats.Stats(stats_file)
s.strip_dirs().sort_stats("time").print_stats()
self.assertTrue(True)
def setUp(self):
# Fixture Setup
clock = TestClock()
uuid_factory = TestUUIDFactory()
logger = TestLogger(clock)
self.trader_id = TraderId("TESTER", "000")
self.strategy = EmptyStrategy(order_id_tag="001")
self.strategy.register_trader(
TraderId("TESTER", "000"),
clock,
uuid_factory,
logger,
)
config = {
'host': 'localhost',
'port': 6379
}
self.database = RedisExecutionDatabase(
trader_id=self.trader_id,
logger=logger,
command_serializer=MsgPackCommandSerializer(),
event_serializer=MsgPackEventSerializer(),
config=config
)
self.test_redis = redis.Redis(host="localhost", port=6379, db=0)
def setUp(self):
usdjpy = TestStubs.instrument_usdjpy()
data = BacktestDataContainer()
data.add_instrument(usdjpy)
data.add_bars(usdjpy.symbol, BarStructure.MINUTE, PriceType.BID,
TestDataProvider.usdjpy_1min_bid()[:2000])
data.add_bars(usdjpy.symbol, BarStructure.MINUTE, PriceType.ASK,
TestDataProvider.usdjpy_1min_ask()[:2000])
self.engine = BacktestEngine(data=data,
strategies=[EmptyStrategy('000')],
fill_model=FillModel(),
config=BacktestConfig())
def setUp(self):
usdjpy = InstrumentLoader.default_fx_ccy(
TestStubs.symbol_usdjpy_fxcm())
data = BacktestDataContainer()
data.add_instrument(usdjpy)
data.add_bars(usdjpy.symbol, BarAggregation.MINUTE, PriceType.BID,
TestDataProvider.usdjpy_1min_bid()[:2000])
data.add_bars(usdjpy.symbol, BarAggregation.MINUTE, PriceType.ASK,
TestDataProvider.usdjpy_1min_ask()[:2000])
self.engine = BacktestEngine(
data=data,
strategies=[EmptyStrategy("000")],
venue=Venue("FXCM"),
oms_type=OMSType.HEDGING,
generate_position_ids=True,
fill_model=FillModel(),
config=BacktestConfig(),
)
def setUp(self):
# Fixture Setup
clock = TestClock()
logger = TestLogger()
self.trader_id = TraderId('TESTER', '000')
self.strategy = EmptyStrategy(order_id_tag='001')
self.strategy.change_clock(clock)
self.strategy.change_logger(logger)
self.database = RedisExecutionDatabase(
trader_id=self.trader_id,
host='localhost',
port=6379,
command_serializer=MsgPackCommandSerializer(),
event_serializer=MsgPackEventSerializer(),
logger=logger)
self.test_redis = redis.Redis(host='localhost', port=6379, db=0)
def setUp(self):
# Fixture Setup
usdjpy = InstrumentLoader.default_fx_ccy(
TestStubs.symbol_usdjpy_fxcm())
data = BacktestDataContainer()
data.add_instrument(usdjpy)
data.add_bars(usdjpy.symbol, BarAggregation.MINUTE, PriceType.BID,
TestDataProvider.usdjpy_1min_bid()[:2000])
data.add_bars(usdjpy.symbol, BarAggregation.MINUTE, PriceType.ASK,
TestDataProvider.usdjpy_1min_ask()[:2000])
clock = TestClock()
uuid_factory = TestUUIDFactory()
logger = TestLogger(clock)
trader_id = TraderId("TESTER", "000")
account_id = TestStubs.account_id()
self.portfolio = Portfolio(
clock=clock,
uuid_factory=uuid_factory,
logger=logger,
)
data_engine = BacktestDataEngine(
data=data,
tick_capacity=1000,
bar_capacity=1000,
portfolio=self.portfolio,
clock=clock,
logger=logger,
)
self.analyzer = PerformanceAnalyzer()
self.exec_db = BypassExecutionDatabase(
trader_id=trader_id,
logger=logger,
)
self.exec_engine = ExecutionEngine(
database=self.exec_db,
portfolio=self.portfolio,
clock=clock,
uuid_factory=uuid_factory,
logger=logger,
)
self.market = SimulatedMarket(
venue=Venue("FXCM"),
oms_type=OMSType.HEDGING,
generate_position_ids=True,
exec_cache=self.exec_engine.cache,
instruments={usdjpy.symbol: usdjpy},
config=BacktestConfig(),
fill_model=FillModel(),
commission_model=GenericCommissionModel(),
clock=clock,
uuid_factory=TestUUIDFactory(),
logger=logger,
)
self.exec_client = BacktestExecClient(
market=self.market,
account_id=account_id,
engine=self.exec_engine,
logger=logger,
)
self.exec_engine.register_client(self.exec_client)
strategies = [
EmptyStrategy("001"),
EmptyStrategy("002"),
]
self.trader = Trader(
trader_id=trader_id,
strategies=strategies,
data_engine=data_engine,
exec_engine=self.exec_engine,
clock=clock,
uuid_factory=uuid_factory,
logger=logger,
)